Regulatory Alerts2025-10-30
Circular Re. Update of the Standardised Interest Rate Shock Scenarios
The Saudi Central Bank (SAMA) mandates local banks to adopt updated standardised interest rate shock scenarios for Interest Rate Risk in the Banking Book (IRRBB) in alignment with Basel Committee revisions. This directive requires institutions to apply six prescribed parallel, short, long, and rotational shock scenarios to capture EVE and NII risks across all currencies with material positions. The updated rules, which include specific parameterisations and shock floors set at zero, become effective for compliance starting 1 January 2026.
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